Basic "ABC" list (assuming it's stock & no add on lights/wiring, etc that may affect it).
first - Key must be to run position, headlights on dim, switch pulled out for fog lights. You mentioned that you checked the fuse, did you check the fog light relay also? (position 56B in the fuse box in engine compartment).
Does the driving light indicator on the dash come on? If so, check for voltage AND ground @ the fog light connector (often times people will check voltage not think about ground). If you have voltage AND ground @ the fog light connectors, it's likely bad lights/bulbs. I keep a tail light bulb & socket with wires from an old car in my toolbox. It's a great "tester" to verify stuff like that & is brighter than my test light so it can be seen even on a bright sunny day.
If the driving light indicator on the dash does NOT come on & fuses/relays are good, I would be suspect of the headlamp switch itself as being the issue.